How to create transaction with asp.net identity?

You should not create a new db context, but use the existing one.

var context = Request.GetOwinContext().Get<MyEntities>()

It is created per request if you use default implementation.

app.CreatePerOwinContext(ApplicationDbContext.Create);

Update:

OK, since you are using two different contexts your code will look something like this:

public async Task<ActionResult> Register(RegisterViewModel model)
{
    if (ModelState.IsValid)
    {
        var user = new ApplicationUser { UserName = model.Email, Email = model.Email };

        var appDbContext = HttpContext.GetOwinContext().Get<ApplicationDbContext>();
        using( var context = new MyEntities())
        using (var transaction = appDbContext.Database.BeginTransaction())
        {
            try
            {
                var DataModel = new UserMaster();
                DataModel.Gender = model.Gender.ToString();
                DataModel.Name = string.Empty;

                // Doing entry in AspnetUser even if transaction fails
                var result = await UserManager.CreateAsync(user, model.Password);
                if (result.Succeeded)
                {
                    await this.UserManager.AddToRoleAsync(user.Id, model.Role.ToString());
                    this.AddUser(DataModel, context);
                    transaction.Commit();
                    return View("DisplayEmail");
                }
                AddErrors(result);
            }
            catch (Exception ex)
            {
                transaction.Rollback();
                return null;
            }
        }
    }

    // If we got this far, something failed, redisplay form
    return View(model);
}

public int AddUser(UserMaster _addUser, MyEntities _context)
{
    _context.UserMaster.Add(_addUser);
    _context.SaveChanges();
    return 0;
}

Here, appDbContext is the same context that is used by UserManager.

You can solve it with TransactionScope class:

using (TransactionScope scope = new TransactionScope())
{
    var result = await UserManager.CreateAsync(user, model.Password);
    if (result.Succeeded)
    {
        await this.UserManager.AddToRoleAsync(user.Id, model.Role.ToString());
        string callbackUrl = await SendEmailConfirmationTokenAsync(user.Id, "Confirm your account");
        return View("DisplayEmail");
    }
    scope.Complete();
}

So, both actions will be done in one transaction and if method Comlete does not call, both actions will be canceled (roolback).

If you want to solve it with EF only (without TransactionScope), you need to refactor your code. I don't know implementation of class UserManager and methods CreateAsync and AddToRoleAsync, but I guess that they creates new DBContext for each operation. So, first of all, for all transactional operations you need one DBContext (for EF solution). If you add this methods, I'll modify my answer according to EF solution.